A Note on the Limiting Spectral Distribution of a Symmetrized Auto-Cross Covariance Matrix

Zhidong Bai; Chen Wang

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arXiv · 1403.2578

A Note on the Limiting Spectral Distribution of a Symmetrized Auto-Cross Covariance Matrix

Zhidong Bai·Chen Wang

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Abstract

In Jin et al. (2014), the limiting spectral distribution (LSD) of a symmetrized auto-cross covariance matrix is derived using matrix manipulation, with finite $(2+δ)$-th moment assumption. Here we give an alternative method using a result in Bai and Silverstein (2010), in which a weaker condition of finite 2nd moment is assumed.

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Zhidong Bai, Chen Wang. 2014-03-11. A Note on the Limiting Spectral Distribution of a Symmetrized Auto-Cross Covariance Matrix. https://arxiv.org/abs/1403.2578

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